Farshid Jamshidian

University of Twente - FELAB

Prof. Dr.

Postbus 217

Twente

Netherlands

SCHOLARLY PAPERS

3

DOWNLOADS

261

CITATIONS
Rank 36,182

SSRN RANKINGS

Top 36,182

in Total Papers Citations

5

Scholarly Papers (3)

1.

The Duality of Optimal Exercise and Domineering Claims: a Doob-Meyer Decomposition Approach to the Snell Envelope

Number of pages: 29 Posted: 18 May 2006
Farshid Jamshidian
University of Twente - FELAB
Downloads 239 (92,371)
Citation 4

Abstract:

Duality, optimal stopping time, Snell envelope, supermartingale, Doob-Meyer decomposition, multiplicative decomposition, domineering claim, American option

2.

Trivariate Support of Flat-Volatility Forward Libor Rates

Mathematical Finance, Vol. 20, Issue 2, pp. 229-258, April 2010
Number of pages: 30 Posted: 29 Mar 2010
Farshid Jamshidian
University of Twente - FELAB
Downloads 1 (521,842)

Abstract:

3.

Bivariate Support of Forward Libor and Swap Rates

Mathematical Finance, Vol. 18, Issue 3, pp. 427-443, July 2008
Number of pages: 17 Posted: 16 Jun 2008
Farshid Jamshidian
University of Twente - FELAB
Downloads 1 (521,842)
Citation 1

Abstract: